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Quant Research Platform

面向量化研究的 Python 库,提供多因子分析、因子挖掘、IC/IR 分析、回测引擎与组合优化(均值方差、风险平价、Black-Litterman、Kelly),并附因子库清单、绩效指标说明与调用示例。

jason-aka-chen
jason-aka-chen
热度 63.02
最近更新 2026-05-11 17:35:03
分类:数据依赖:代码执行 / 第三方 API应用场景:市场分析 / 财务 / 数据处理 / 研究

安装技能

复制下面的话术发给你的 Agent,它会通过 secure-skills 检索并安装该技能。

执行命令安装此 skill: npx secure-skills-cli add quant-research-platform
Metadata
name
quant-research-platform
description
Advanced quantitative research platform for multi-factor analysis, factor mining, backtesting, and portfolio optimization. Includes 100+ alpha factors, IC/IR analysis, factor correlation, and intelligent factor combination.
tags
["quant","trading","factor","research","backtest","portfolio"]
version
1.0.0
author
chenq

Quant Research Platform

Advanced quantitative research platform for professional quant developers and researchers.

Features

1. Multi-Factor Research

  • 100+ Alpha Factors: Technical, fundamental, sentiment, alternative data
  • Factor Mining: Automated factor discovery and evaluation
  • Factor Analysis: IC, IR, IC decay, turnover analysis
  • Factor Combination: Intelligent factor weighting and combination

2. Backtesting Engine

  • Historical Backtest: Full historical simulation
  • Walk-Forward: Out-of-sample validation
  • Monte Carlo: Probabilistic performance estimation
  • Transaction Cost: Realistic cost modeling

3. Portfolio Optimization

  • Mean-Variance: Classic Markowitz optimization
  • Risk Parity: Equal risk contribution
  • Black-Litterman: Bayesian prior integration
  • ACL: Academic factor model optimization
  • Kelly Criterion: Optimal leverage calculation

4. Risk Management

  • VaR/CVaR: Value at Risk analysis
  • Stress Testing: Scenario-based analysis
  • Factor Exposure: Style exposure monitoring
  • Drawdown Control: Dynamic position sizing

5. Strategy Development

  • Momentum Strategies: Trend following, breakout
  • Mean Reversion: Statistical arbitrage
  • Statistical Models: Pairs trading, cointegration
  • ML Strategies: XGBoost, LightGBM, LSTM

Installation

pip install pandas numpy scikit-learn xgboost lightgbm scipy statsmodels
pip install akshare tushare

Usage

Factor Research

from quant_research import FactorResearch

research = FactorResearch()

# Add factors
research.add_factor('momentum_20d', compute_momentum_20d)
research.add_factor('volatility_60d', compute_volatility_60d)
research.add_factor('roe', compute_roe)

# Analyze factor performance
ic_analysis = research.analyze_ic(
    factors=['momentum_20d', 'volatility_60d'],
    lookback=252
)

print(f"IC: {ic_analysis['ic_mean']:.3f}")
print(f"IR: {ic_analysis['ir']:.3f}")

Backtest

from quant_research import BacktestEngine

bt = BacktestEngine(
    start_date='2020-01-01',
    end_date='2024-12-31',
    initial_capital=1000000
)

# Add strategy
bt.add_strategy(MomentumStrategy(n=20, holding_period=60))

# Run backtest
results = bt.run()

print(f"Annual Return: {results['annual_return']:.2%}")
print(f"Sharpe Ratio: {results['sharpe_ratio']:.2f}")
print(f"Max Drawdown: {results['max_drawdown']:.2%}")

Portfolio Optimization

from quant_research import PortfolioOptimizer

opt = PortfolioOptimizer(returns_df)

# Mean-variance optimization
weights = opt.mean_variance(target_return=0.15)

# Risk parity
weights = opt.risk_parity()

# Black-Litterman
weights = opt.black_litterman(market_cap_weights, views)

Factor Library

Technical Factors

Factor Description
returns_5d/20d/60d Cumulative returns
volatility_20d/60d Rolling volatility
momentum_20d/60d Price momentum
volume_ratio Relative volume
turnover_rate Turnover rate
rsi_14d RSI indicator

Fundamental Factors

Factor Description
pe_ttm P/E ratio
pb P/B ratio
roe Return on equity
roa Return on assets
debt_ratio Debt to assets
gross_margin Gross margin

Sentiment Factors

Factor Description
news_sentiment News sentiment score
social_buzz Social media mentions
analyst_rating Analyst consensus

API Reference

FactorResearch

Method Description
add_factor(name, func) Add custom factor
analyze_ic(factors) IC/IR analysis
factor_correlation() Correlation matrix
optimal_weights() Factor combination

BacktestEngine

Method Description
add_strategy(strategy) Add trading strategy
run() Execute backtest
get_metrics() Performance metrics
get_trades() Trade log

PortfolioOptimizer

Method Description
mean_variance() Markowitz optimization
risk_parity() Risk parity weights
black_litterman() Bayesian optimization
kelly() Kelly criterion

Performance Metrics

  • Annual Return
  • Sharpe Ratio
  • Sortino Ratio
  • Calmar Ratio
  • Max Drawdown
  • Win Rate
  • Profit Factor
  • Trade Count

Use Cases

  • Factor Discovery: Find new alpha factors
  • Strategy Development: Build and test strategies
  • Portfolio Construction: Optimize asset allocation
  • Risk Management: Monitor and control risk
  • Research Automation: Systematic research workflow

Advanced Features

Machine Learning Integration

from quant_research.ml import FactorModel

model = FactorModel(algorithm='xgboost')
model.train(factors, returns)
model.predict()

# Feature importance
importance = model.feature_importance()

Alternative Data

from quant_research import AlternativeData

alt = AlternativeData()

# Satellite imagery
sat = alt.satellite_data(company_name)

# Web traffic
traffic = alt.web_traffic(url)

# Supply chain
supply = alt.supply_chain(company_name)

Links